The
5th NCTU International Finance Conference
第五屆交通大學財務金融國際研討會
Conference Theme:
Investment Analysis and Financial Engineering
會議主題:投資分析及財務工程
時間(Date):101年1月6日(星期五)8:30
AM --17:40
PM
(8:30
AM ~17:40
PM, Friday, January 6, 2012)
地點(Location):國立交通大學光復校區管理一館
(Management Building 1, National Chiao Tung University, Kuang-Fu Campus)
Program Director:
Cheng-Few Lee, Foundation of Pacific Basin Financial Research and Development, Taiwan and Rutgers University, USA
Program Co-Director:
Wen-Liang Hsieh, National Chiao Tung University, Taiwan
主辦單位(Conference Organizers):
National Chiao Tung University 國立交通大學財務金融研究所
Foundation of Pacific Basin Financial Research and Development 財團法人亞太金融研究發展基金會
合辦單位(Conference Co-Organizers):
Executive Master of Business Administration (EMBA), National Chiao Tung University 國立交通大學EMBA
贊助單位(Sponsors):
Taiwan Stock Exchange Corporation (TWSE) 臺灣證券交易所
Taiwan Futures Exchange 臺灣期貨交易所
Gretai Securities Market 財團法人中華民國證券櫃檯買賣中心
主辦單位聯絡電話(TEL):(03)5712121 Ext. 57080 (Ms. Luo 羅小姐)
聯絡地址(Address): 300新竹市大學路1001號 國立交通大學財務金融研究所
The 5th NCTU International Finance Conference
~∙~ Program ~∙~
8:30~9:00 報到 Registration (M-B10)
9:00~9:10 校長/院長致辭 Welcome Remark (M-B10)
9:10~9:50 專題演講(1) Keynote Speech (1) (M-B10)
Chairperson: Cheng-Few Lee, Foundation of Pacific Basin Financial Research and Development, Taiwan and Rutgers University, USA
Title: Taiwan's Competitiveness, Employment, Economic Growth and Its Future Economic Prospects(台灣競爭力、就業、經濟成長及其未來經濟展望)
Speaker: Cheng Hsiung Chiu, Chairman of Bank SinoPac, Taiwan
9:50~10:30 專題演講(2) Keynote Speech (2) (M-B10)
Chairperson: Wen-Liang Hsieh, National Chiao Tung University, Taiwan
Title: On progression of credit risks and financial crises
Speaker: Ralph Cho-Jieh Chen, Mirae Asset Global Investments (Taiwan) Co., Ltd., Taiwan
10:30~10:45 休息Tea Break
10:45~12:25 Session I、II
Session I. Corporate Finance (M116)
Chairperson: Sheng-Syan Chen, National Taiwan University, Taiwan
1. Defensive Repurchases: The Managerial Entrenchment versus Shareholder Interests
Sheng-Syan Chen, National Taiwan University, Taiwan
Chia-Wei Huang, Yuan Ze University, Taiwan
2. The Stock Market Valuation of R&D Expenditure and Corporate Governance
Hung-Kun Chen, Tamkang University, Taiwan
Li-Hong Hong, Yuan Ze University, Taiwan
Yanzhi Wang, Yuan Ze University, Taiwan
3. The Market Value of the Tax-Timing Option: Evidence from Taxable Stock Dividends with Deferring Taxation Option
Nan-Ting Kuo, National Central University, Taiwan
Cheng-Few Lee, Rutgers University, USA
4. The Effect of Optimal Capital Structure on Managerial Compensation: Straight Debt Vs. Convertible Debt
Hsing-Hua Huang, National Chiao-Tung University, Taiwan
Wei-Liang Chuang, National Chiao-Tung University, Taiwan
Session II. Investment and Risk Management (A) (M115)
Chairperson: Kehluh Wang, National Chiao-Tung University, Taiwan
1. Managerial Incentives in Concurrently Managed Mutual Fund
Hsuan-Chi Chen, University of New Mexico, USA
Chin-Wen Hsin, Yuan Ze University, Taiwan
Shih Chen Hsu, Yuan Ze University, Taiwan
Christine W. Lai, National Taiwan Normal University, Taiwan
2. Investigating the relationship between foreign or domestic institutional ownership and capital structure
Ming-Feng Hsu, National Chiayi University, Taiwan
Kehluh Wang, National Chiao Tung University, Taiwan
3. Institutional Trading Surrounding Share Repurchase Announcements
Weifeng Hung, Feng Chia University, Taiwan
4. Value-at-Risk Estimation via Parametric Approach: Evidence from the Stock Markets
Cheng-Few Lee, Rutgers University, USA
Jung-Bin Su, China University of Science and Technology, Taiwan
12:25~13:15 午餐Lunch Time (M102, M103)
13:15~14:55 Session III、IV、V
Session III. Risk Management and Financial Econometrics (M116)
Chairperson: Chuan-Hsiang Han, National Tsing-Hua University, Taiwan
1. Monte Carlo Calibration to Implied Volatility Surfaces
Chuan-Hsiang Han, National Tsing-Hua University, Taiwan
Lie-Jane Kao, KaiNan University, Taiwan
Po-Cheng Wu, KaiNan University, Taiwan
Cheng-Few Lee, Rutgers University, USA
3. Clustering standard errors in panel finance data: Evidence from bootstrapping
Win Lin Chou, City University of Hong Kong, Hong Kong
Hongwei Chuang, Academia Sinica, Taiwan
Yating Yang, National Chiao Tung University, Taiwan
4. The New Causality Test, Monitoring Tests and Their applications
Shin-Huei Wang, Universite Catholique de Louvain and FUNDP, Academie Louvain, Belgium and Beijing Normal University, China
Christian Hafner, Universite Catholique de Louvain and FUNDP, Academie Louvain, Belgium
Session IV. Investment (A) (M115)
Chairperson: Hai-Chin Yu, Chung Yuan University, Taiwan
1. The Factors to Manage Actuarial Assumptions for Pension Fair Value: Implications for IAS 19
Audrey Wen-hsin Hsu, National Taiwan University, Taiwan
Chung-Fern Wu, National Taiwan University, Taiwan
Jui-Chia Lin, National Taiwan University, Taiwan
2. Expiration Day Effects and Market Manipulation: Evidence from Taiwan
Edward Hsing-Yi Chow, National Chengchi University, Taiwan
Chung-Wen Hung, Southern Taiwan University, Taiwan
Christine Shu-Hua Liu, National Chengchi University, Taiwan
Cheng-Yi Shiu, National Central University, Taiwan
3. Investors’ Herd Behavior: Rational or Irrational
William T. Lin, Tamkang University, Taiwan
Shih-Chuan Tsai, National Taiwan University, Taiwan
Pei-Yau Lung, Tamkang University, Taiwan
Session V. Investment (B) (M101)
Chairperson: Chin-Chen Chien, National Cheng Kung University, Taiwan
1. SFAS 123 (R), Managerial Ownership, and Non-Optimal Investment: A New Evidence
Chin-Chen Chien, National Cheng Kung University, Taiwan
Chaur-Shiuh Young, National Cheng Kung University, Taiwan
She-Chih Chiu, National Cheng Kung University, Taiwan
2. Cross-Effect of Size and Diversification on Earnings Management and Tobin’s Q
Sue-Fung Wang, National Chiao Tung University, Taiwan
Chia-Hsuan Ku, National Chiao Tung University, Taiwan
3. Technical, Fundamental, and Combined Information for Separating Winners from Losers
Hong-Yi Chen, National Central University, Taiwan
Cheng-Few Lee, Rutgers University, USA
Wei K. Shih, Bates White Economic Consulting, USA, Taiwan
4. Evaluating Information Quality and Validity of Value Line Stock Ratings
Shin-Yun Wang, National Dong Hwa University, Taiwan
14:55~15:10 休息Tea Break
15:10~16:50 Session VI、VII
Session VI. Options, Futures, and Microstructure (M116)
Chairperson: Chuang-Chang Chang, National Central University, Taiwan
1. The Valuation of Quanto Derivatives Using Bivariate GARCH-Jump Models
Chuang-Chang Chang, National Central University, Taiwan
Hsiao-Wei Ho, National Central University, Taiwan
Tzu-Hsiang Liao, Ming Chuan University, Taiwan
Yaw-Huei Wang, National Taiwan University, Taiwan
2. A Range-based Regime Switching Model for Futures Hedging
Hsiang-Tai Lee, National Chi Nan University, Taiwan
3. Vulnerable Option Pricing: The Dual Problem
Tian-Shyr Dai, National Chiao-Tung University, Taiwan
Chun-Yuan Chiu, National Chiao-Tung University, Taiwan
4. High Frequency Trading in the Equity Markets During Large-Scale Asset Purchases
Cheng Gao, Rutgers University, USA
Bruce Mizrach, Rutgers University, USA
Session VII. Investment and Risk Management (B) (M115)
Chairperson: Shih-Ti Yu, National Tsing Hua University, Taiwan
1. Stock Return Response to Competitor Bankruptcy: Perspective of Antitakeover Protection
Huimin Chung, National Chiao Tung University, Taiwan
Ying-Sui Yang, National Chiao Tung University, Taiwan
Chih-Liang Liu, National Chiao Tung University, Taiwan
2. Conditional Heteroskedasticity and Dependence Structure in Crude Oil and US Dollar Markets
Chih-Chiang Wu, Yuan Ze University, Taiwan
Wei-Peng Chen, Shih Hsin University, Taiwan
3. Investor Sentiment and REIT IPOs
Ann Shawing Yang, National Cheng Kung University, Taiwan
Chiuling Lu, National Taiwan University, Taiwan
4. Do Macroeconomic Dynamics Affect the Firm-specific Effects on Credit Ratings?
Ruey-Ching Hwang, National Dong Hwa University, Taiwan
17:00~17:40 專題演講(3) Keynote Speech (3) (M101)
Chairperson: Chiuling Lu, National Taiwan University, Taiwan
Title: Alternative Errors-in-Variables Models and Their Applications in Finance Research
Speaker: Cheng-Few Lee, Rutgers University, USA